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Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X.; Yilmaz, Kamil - 2007

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10010298351

Measuring financial asset return and volatilty spillovers, with application to global equity markets

Diebold, Francis X.; Yilmaz, Kamil - 2008

Persistent link: https://www.econbiz.de/10010303681

Financial contagion: Spillovers through banking centers

Van Rijckeghem, Caroline; Weder, Beatrice - 1999

This paper presents evidence that spillovers through shifts in bank lending can help explain the pattern of contagion … incidence of a currency crisis. In the Russian crisis, the common bank lender helps to predict the incidence of contagion but … may be more important in explaining contagion than similarities in macro-economic fundamentals and even than trade …

Persistent link: https://www.econbiz.de/10010298220

Do Changes in Sovereign Credit Ratings Contribute to Financial Contagion in Emerging Market Crises?

Kräussl, Roman - 2023

Credit rating changes for long-term foreign currency debt may act as a wake-up call with up-grades and downgrades in one country affecting other financial markets within and across national borders. Such a potential (contagious) rating effect is likely to be stronger in emerging market...

Persistent link: https://www.econbiz.de/10014256802

A Critique on the Proposed Use of External Sovereign Credit Ratings in Basel II

Kräussl, Roman - 2023

This paper deals with the proposed use of sovereign credit ratings in the "Basel Accord on Capital Adequacy" (Basel II) and considers its potential effect on emerging markets financing. It investigates in a first attempt the consequences of the planned revisions on the two central aspects of...

Persistent link: https://www.econbiz.de/10014265191

Did fair-value accounting contribute to the financial crisis?

Laux, Christian; Leuz, Christian - 2009

The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has significantly contributed to the financial crisis or, at least, exacerbated its severity. In this paper, we...

Persistent link: https://www.econbiz.de/10010303680

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541398

Analysis of binary trading patterns in Xetra

Maurer, Kai-Oliver; Schäfer, Carsten - 2010

This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...

Persistent link: https://www.econbiz.de/10010303726

When an event is not an event: The curious case of an emerging market

Bhattacharya, Utpal; Daouk, Hazem; Jorgenson, Brian; … - 1998

Shares trading in the Bolsa mexicana de Valores do not seem to react to company news. Using a sample of Mexican corporate news announcements from the period July 1994 through June 1996, this paper finds that there is nothing unusual about returns, volatility of returns, volume of trade or...

Persistent link: https://www.econbiz.de/10010317388

Financial market integration under EMU

Jappelli, Tullio; Pagano, Marco - 2008

The single most important policy-induced innovation in the international financial system since the collapse of the Bretton-Woods regime is the institution of the European Monetary Union. This paper provides an account of how the process of financial integration has promoted financial...

Persistent link: https://www.econbiz.de/10010303699

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